RBS: Currency wins in April
LONDON - Currency managers had a good month in April, with all strategies generating positive returns, according to research by the Royal Bank of Scotland (RBS).
According to the bank's naive simulations of currency strategies, short volatility fared the best, generating 6.9% in returns, and 22.1% on a year-to-date basis, as volatility fell. "Implied volatility has now fallen to such an extent that the only currency where short-straddle positions will be held in May is Swedish krona," said James
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